Stock Screening by Daily Range, Turnover, and Control Indicator
Summary
This stock-selection note combines an intraday range above 1%, prior-day turnover above 60 million, and a control indicator above 21. It presents large range and turnover as signs of volatility and trading activity, and interprets a high control reading as possible evidence of concentrated buying interest. Formula and Python examples illustrate the proposed filters, although the code's turnover and control calculations are not clearly aligned with the prose description of prior-day turnover and today's control reading.
No backtest, sample results, or validation of the control measure is supplied. The article warns that the control reading can lag a reversal and that range and turnover filters may concentrate selections in a narrow set of popular stocks. It suggests supplementing the screen with other technical measures and broader activity or diversity criteria. The thresholds are screening rules rather than demonstrated predictors of returns.
Key ideas
- The proposed screen combines an intraday range threshold, prior-day turnover, and a control reading threshold.
- The author views high range and turnover as indicators of volatility and market activity.
- A high control reading is treated as a possible positive capital-flow signal, but may lag turning points.
- The document offers no performance validation, and its code examples may not precisely match the stated timing of the conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.